Sprockets attached to a shaft with a split taper lock bushing are the better choice when a very tight grip on the shaft is required as the shaft is grasped 360° around its circumference.
In comparison, finished bore sprockets with a "keyway and two set screws" are acceptable in many installations as they are narrower, and cheaper.
The down side to "keyway and two set screw" sprockets is that they have a greater tendency to come loose or "walk" on the shaft as the set screws only contact the shaft in two locations.
The down side to split taper lock designs is that they are wider than a keyway & set screw style sprocket and require room for a wrench to tighten and loosen the bolts for installation and removal. Power-Link Catalog